Kalbaska, A.; Gątkowski, M. - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 657-673
This paper analyses the dynamics of the credit default swap (CDS) market of PIIGS, France, Germany and the UK for the …-county interdependencies increased already after August 2007. Furthermore, the IRF analysis shows that among PIIGS the CDS markets of Spain and … the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …